Message-ID: <5384EE90.2080309@4dscape.com>
Date: 2014-05-27T19:59:12Z
From: Alexios Ghalanos
Subject: Time Varying Higher Moments - racd?
In-Reply-To: <CAPPM_gTntMs7AWDCSBd0BCrioe16dOx9vXVU8qo-e_bFDGzXFA@mail.gmail.com>
Since 2013 the development repository for my packages has moved (a
couple of time). See:
http://www.unstarched.net/r-downloads/
for latest details.
-Alexios
On 27/05/2014 19:56, Joshua Ulrich wrote:
> See p15 of the presentation.
> --
> Joshua Ulrich | about.me/joshuaulrich
> FOSS Trading | www.fosstrading.com
>
>
> On Tue, May 27, 2014 at 1:54 PM, Mark Knecht <markknecht at gmail.com> wrote:
>> In this presentation:
>>
>> http://www.rinfinance.com/agenda/2013/talk/AlexiosGhalanos.pdf
>>
>> there is a bit of code on page 16 (and copied below) that loads a
>> library called racd. I cannot seem to find racd. Can someone point me
>> in the right direction?
>>
>> Thanks,
>> Mark
>>
>>
>>
>> library(racd)
>> library(rugarch)
>> data(sp500ret)
>> spec = acdspec(variance.model=list(model=?sGARCH?, variance.targeting=TRUE),
>> distribution.model=list(model=?nig?,skewOrder=c(1,0,1),
>> shapeOrder=c(1,1,1),skewmodel=?quad?,shapemodel=?pwl?))
>> mod = acdfit(spec, sp500ret, solver=?msoptim?,solver.control=list(restarts=5))
>>
>> _______________________________________________
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